Options Daily 05.10.2017

NIFTY Summary:

  1. Oct 11000 calls added 4,16,025 contracts.
  2. Oct 10000 calls shed 3,46,500.
  3. Oct 9900 puts added 11,94,750.
  4. Oct 9100 puts shed 88,725.

Our trend model indicates a SHORT on the NIFTY and LONG on the BANKNIFTY.

Avg. True Range

NIFTY.50 NIFTY.BANK
3 103.06 258.65
5 104.70 276.48
10 98.51 266.03
20 90.73 246.30

NIFTY 50 NIFTY BANK
TrueRange 87.65 171.80
TrueHigh 9938.30 24230.45
TrueLow 9850.65 24058.65

OCT NIFTY OI

OCT NIFTY OI chart

OCT BANKNIFTY OI

OCT BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

OCT NIFTY Volatility

OCT NIFTY Volatility chart

OCT BANKNIFTY Volatility

OCT BANKNIFTY Volatility chart
Dotted lines indicated actual underlying volatility. Solid lines are IVs.

VIX Density Plot

VIX kernel density plot

5-day forecast based on ARMA(0,2)+GARCH(1,1) model:

VIX 13.07 14.62 15.95 15.95 15.95
σ 1.82 1.85 1.87 1.90 1.92

Marketwide OI

Securities under ban today: IBREALEST, JPASSOCIAT, JSWENERGY.
market wide position limit chart

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